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North American Actuarial Journal Volume 18, 2014 - Issue 1: Longevity Risk and Capital Markets
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Feature Articles

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

Daniel H. Alai School of Risk and Actuarial Studies, Australia School of Business, University of New South Wales, Sydney, Australia
,
Hua Chen Department of Risk, Insurance and Healthcare Management, Fox School of Business, Temple University, Philadelphia, Pennsylvania
,
Daniel Cho Suncorp Life, Sydney, Australia
,
Katja Hanewald School of Risk and Actuarial Studies, Australia School of Business, University of New South Wales, Sydney, Australia
&
Michael Sherris School of Risk and Actuarial Studies, Australia School of Business, University of New South Wales, Sydney, Australia
Pages 217-241 | Published online: 17 Mar 2014

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Tian-Shyr Dai, Liang-Chih Liu & Sharon S. Yang. (2023) Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk. Quantitative Finance 23:9, pages 1325-1339.
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Chul Jang, Iqbal Owadally, Andrew Clare & Muhammad Kashif. (2022) Lifetime consumption and investment with housing, deferred annuities and home equity release. Quantitative Finance 22:1, pages 129-145.
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David Blake, Richard MacMinn, Jason Chenghsien Tsai & Jennifer Wang. (2021) Longevity Risk and Capital Markets: The 2017–2018 Update. North American Actuarial Journal 25:sup1, pages S280-S308.
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Articles from other publishers (48)

Manuel Ventura-Marco, Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González. (2023) Joint life care annuities to help retired couples to finance the cost of long-term care. Insurance: Mathematics and Economics 113, pages 122-139.
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David Atance, Ana Debón & Iván De La Fuente. (2023) VALUATION OF REVERSE MORTGAGES IN THE SPANISH MARKET FOR FOREIGN RESIDENTS. Technological and Economic Development of Economy 0:0, pages 1-28.
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Tyson Lamarra, Aaron Bruhn & Michael Miller. (2022) Stochastic modelling of the home equity access scheme. Australian Journal of Management 48:3, pages 652-677.
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Iván de la Fuente, Eliseo Navarro & Gregorio Serna. (2023) Proposal for calculating regulatory capital requirements for reverse mortgages. Socio-Economic Planning Sciences 88, pages 101659.
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Ismael Choinière-Crèvecoeur & Pierre-Carl Michaud. (2023) Reverse mortgages and financial literacy. Journal of Financial Literacy and Wellbeing, pages 1-24.
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Pei-Hsuan Tsai, Ying-Wei Wang & Wen-Chang Chang. (2023) Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwan's banking industry. Socio-Economic Planning Sciences 86, pages 101460.
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Julian Benavides Franco, Julio César Alonso Cifuentes, Jaime Andrés Carabalí Mosquera & Anibal Sosa. (2021) On the feasibility of reverse mortgages in Colombia. International Journal of Housing Markets and Analysis 15:5, pages 1195-1224.
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Alexandru Badescu, Enoch Quaye & Radu Tunaru. (2022) On non-negative equity guarantee calculations with macroeconomic variables related to house prices. Insurance: Mathematics and Economics 103, pages 119-138.
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Emilia Di Lorenzo, Gabriella Piscopo, Marilena Sibillo & Roberto Tizzano. (2021) Reverse mortgage and risk profile awareness: Proposals for securitization. Applied Stochastic Models in Business and Industry 38:2, pages 353-369.
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Tripti Sharma, Declan French & Donal McKillop. (2020) Risk and Equity Release Mortgages in the UK. The Journal of Real Estate Finance and Economics 64:2, pages 274-297.
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Katja Hanewald, Hazel Bateman, Hanming Fang & Tin Long Ho. (2022) Long-Term Care Insurance Financing Using Home Equity Release: Evidence from an Online Experimental Survey. SSRN Electronic Journal.
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Tripti Sharma, Declan French & Donal McKillop. (2022) The UK equity release market: Views from the regulatory authorities, product providers and advisors. International Review of Financial Analysis 79, pages 101994.
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Iván de la Fuente, Eliseo Navarro & Gregorio Serna. 2022. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 181 187 .
Valeria D’Amato, Emilia Di Lorenzo, Gabriella Piscopo, Marilena Sibillo & Roberto Tizzano. 2022. Quantitative Methods in Demography. Quantitative Methods in Demography 403 414 .
Iván de la Fuente, Eliseo Navarro & Gregorio Serna. (2021) Estimating regulatory capital requirements for reverse mortgages. An international comparison. International Review of Economics & Finance 74, pages 239-252.
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David Blake & Andrew J.G. Cairns. (2021) Longevity risk and capital markets: The 2019-20 update. Insurance: Mathematics and Economics 99, pages 395-439.
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Michael Sherris. (2021) On Sustainable Aged Care Financing in Australia. Australian Economic Review 54:2, pages 275-284.
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Emilia di Lorenzo, Gabriella Piscopo, Marilena Sibillo & Roberto Tizzano. (2020) Reverse mortgages through artificial intelligence: new opportunities for the actuaries. Decisions in Economics and Finance 44:1, pages 23-35.
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Tianxiang Shi & Yung-Tsung Lee. (2021) Prepayment risk in reverse mortgages: An intensity-governed surrender model. Insurance: Mathematics and Economics 98, pages 68-82.
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V. D’Amato, E. Di Lorenzo, S. Haberman, M. Sibillo & R. Tizzano. (2019) Pension schemes versus real estate. Annals of Operations Research 299:1-2, pages 797-809.
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Koon-Shing Kwong, Yiu-Kuen Tse & Junxing Chay. (2020) A Hybrid Equity Release Plan for Retirement Financing. Asia-Pacific Journal of Risk and Insurance 15:1, pages 23-46.
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Iván de la Fuente, Eliseo Navarro & Gregorio Serna. (2020) Reverse Mortgage Risks. Time Evolution of VaR in Lump-Sum Solutions. Mathematics 8:11, pages 2043.
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David Blake & Andrew J. G. Cairns. (2020) Longevity risk and capital markets: the 2018–19 update. Annals of Actuarial Science 14:2, pages 219-261.
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Ki Yun Ryou, Jae Song Lee & Yeol Choi. (2020) An Analysis on Determinants of Termination of Reverse Mortgage Considering Characteristics of the Subscriber. Journal of Korea Planning Association 55:4, pages 85-94.
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Kuo‐Shing Chen & J. Jimmy Yang. (2018) Housing Price Dynamics, Mortgage Credit and Reverse Mortgage Demand: Theory and Empirical Evidence. Real Estate Economics 48:2, pages 599-632.
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Hyung-Suk Choi. (2019) A Numerical Analysis to Study Whether the Early Termination of Reverse Mortgages is Rational. Sustainability 11:23, pages 6820.
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Martin Eling & Omid Ghavibazoo. (2018) Research on long-term care insurance: status quo and directions for future research. The Geneva Papers on Risk and Insurance - Issues and Practice 44:2, pages 303-356.
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Katja Hanewald, Han Li & Adam W. Shao. (2018) Modelling multi-state health transitions in China: a generalised linear model with time trends. Annals of Actuarial Science 13:1, pages 145-165.
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Declan French, Donal McKillop & Tripti Sharma. (2018) What determines UK housing equity withdrawal in later life?. Regional Science and Urban Economics 73, pages 143-154.
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Olivia S. Mitchell. (2018) Enhancing risk management for an aging world. The Geneva Risk and Insurance Review 43:2, pages 115-136.
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Adam W. Shao, Katja Hanewald & and Michael Sherris. (2018) House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics. Asia-Pacific Journal of Risk and Insurance 12:1.
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David Blake, Nicole El Karoui, Stéphane Loisel & Richard MacMinn. (2018) Longevity risk and capital markets: The 2015–16 update. Insurance: Mathematics and Economics 78, pages 157-173.
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Yung-Tsung Lee, Ko-Lun Kung & I-Chien Liu. (2018) Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison. Insurance: Mathematics and Economics 78, pages 255-266.
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Joseph H.T. Kim & Johnny S.H. Li. (2017) Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea. Emerging Markets Review 30, pages 133-154.
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Katja Hanewald, Thomas Post & Michael Sherris. (2016) Portfolio Choice in Retirement-What is The Optimal Home Equity Release Product?. Journal of Risk and Insurance 83:2, pages 421-446.
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Adam W. Shao, Katja Hanewald & Michael Sherris. (2015) Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. Insurance: Mathematics and Economics 63, pages 76-90.
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Ken Seng Tan, David Blake & Richard MacMinn. (2015) Longevity risk and capital markets: The 2013–14 update. Insurance: Mathematics and Economics 63, pages 1-11.
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Daniel Cho, Katja Hanewald & Michael Sherris. (2015) Risk Analysis for Reverse Mortgages with Different Payout Designs. Asia-Pacific Journal of Risk and Insurance 9:1, pages 77-105.
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Manuel Ventura-Marco, Carlos Vidal-Meliá & Juan Manuel Pérez Salamero González. (2022) Life care annuities to help couples cope with the cost of long-term care. SSRN Electronic Journal.
Crossref
Iván de la Fuente, Eliseo Navarro & Gregorio Serna. (2022) Proposal for Calculating Regulatory Capital Requirements for Reverse Mortgages. SSRN Electronic Journal.
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Michael C. I. Nwogugu. (2020) Chapter-9: Additional Characteristics Of The Mortgage-Alternative, Retirement/Pension, Insurance And Savings Products That Were Introduced In Chapter-___ Of This Book.. SSRN Electronic Journal.
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Douglas W. Andrews & Jaideep S. Oberoi. (2018) Structuring and Pricing Home Equity Release With Better Sharing of House Price Risk. SSRN Electronic Journal.
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David P. Blake, Nicole El Karoui, Richard D. MacMinn & Sttphane Loisel. (2017) Longevity Risk and Capital Markets: The 2015-16 Update. SSRN Electronic Journal.
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Donald R. Haurin & Stephanie Moulton. (2017) International Perspectives on Homeownership and Home Equity Extraction by Senior Households. SSRN Electronic Journal.
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Katja Hanewald, Han Li & Adam Wenqiang Shao. (2017) Modeling Multi-State Health Transitions in China: A Generalized Linear Model with Time Trends. SSRN Electronic Journal.
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Ken Seng Tan. (2015) Longevity Risk and Capital Markets: The 2013-14 Update. SSRN Electronic Journal.
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Ken Seng Tan, David P. Blake & Richard D. MacMinn. (2015) Longevity Risk and Capital Markets: The 2013-14 Update.. SSRN Electronic Journal.
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Katja Hanewald, Thomas Post & Michael Sherris. (2014) Portfolio Choice in Retirement What is the Optimal Home Equity Release Product?. SSRN Electronic Journal.
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